[SciPy-User] Time Series using 15 minute intervals using scikits.timeseries

[Pierre GM]

On Jul 1, 2011, at 1:45 AM, David Montgomery wrote:

> Hi,
> 
> Using scikits timeseries I can create daily and hourly time series....no prob
> 
> But....
> 
> I have time series at 15 minutes intervals...this I dont know how to do...
> 
> Can a timeseries array handle 15 min intervals?
> Do I use a minute intervals and use mask arrays for the missing minutes?
> Also..I can figure out how to create a array at minute intervals.
> 
> So..what is best practice?  Any examples?

First possibility, you get the latest experimental version of scikits.timeseries on github. There's support for multiple of frequencies (like 15min).
If you're not comfortable with tinkering with experimental code, you have several solutions, depending on your problem:
1. You create a minute-freq series and mask 14/15 of the data. Simple but wasteful and problematic if you have a large series. Still, the easiest solution
2. You create a hour-freq series as a 2D array: each column would correspond to the data for one quarter of this hour. That's more compact in terms of memory, but you'll have to jump through some extra hoops if you need to convert the array to another frequency (conversion routines don't really like 2D arrays...)